Έλεγχοι παραβίασης των υποθέσεων του υποδείγματος της αγοράς στην χρηματιστηριακή αγορά των Αθηνών
Part of : Σπουδαί : journal of economics and business ; Vol.44, No.1-2, 1994, pages 62-78
Issue:
Pages:
62-78
Abstract:
Over the last three decades a substantial amount of empirical research has been undertaken to investigate the behaviour of major securities market. While some work has been done with data from the markets of developing countries, considerable testing must be undertaken for the worlds emerging securities market. The objective of this paper is to present some evidence using Greek data concerning the validity of the major assumptions underlying the market model. In the paper the authors examined 22 companies quoted on the Athens Stock Exchange. The empirical results revealed that assumptions of normality and heteroscedasticity are violated in a large number of companies. In addition there are problems as regards the specification of the model and the stability of regression coefficients over time.
Subject (LC):
Notes:
Περιέχει πίνακες, παράρτημα, σημειώσεις και βιβλιογραφία
